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About Continuous Time Finance II: Lecture Notes: Prof. R Udiger Frey, Ruediger - Frey@wu - Ac.at
This document contains lecture notes on continuous time finance. It covers several topics: 1) Stochastic processes in continuous time including basic notions, classes of processes like martingales and semimartingales, and Brownian motion. 2) Pathwise Itô calculus including Itô's formula and properties of the Itô integral. 3) The Black-Scholes model approached using partial differential equations for pricing and hedging derivative securities. 4) Further tools from stochastic calculus including stochastic integration for continuous martingales, Itô processes, and the Girsanov theorem.
Detailed Information
| Author: | ['Deniz Mostarac'] |
|---|---|
| Publication Year: | 2015 |
| Pages: | 79 |
| Language: | English |
| Format: | |
| Price: | FREE |
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